<p>
  To analyze the value of this trading strategy, we compare its performance to buying and holding a popular ETF 
  tracking the energy sector. In this study, we use XLE, the Energy Select Sector SPDR® Fund, as the benchmark. We 
  can see from the plot below how the portfolio would have performed just had we had just invested in the benchmark.
</p>

<img class="img-responsive" 
     src="https://cdn.quantconnect.com/i/tu/benchmark-performance.png" 
     alt="Tutorial1028-ichimoku-cloud-2" />

<p>
  We now analyze the Sharpe ratio and annual standard deviation of returns for both the strategy and the benchmark. 
  From the table below, we can see the results of the strategy and the benchmark over the entire backtest period, the 
  Fall 2015 crisis, and the 2020 oil price war. The strategy has a lower Sharpe ratio than the benchmark across all 
  of the time periods we tested, except for the crash during the 2020 oil price war, where it generated an impressive
  176 Sharpe ratio. We can also see the strategy has a lower annual standard deviation accross all of the time 
  frames, implying that the strategy has more consistent returns than the benchmark.
</p>

<div style="overflow: auto">
<table class="table qc-table">
    <thead>
        <tr>
            <th>Period Name</th>
            <th>Start Date</th>
            <th>End Date</th>
            <th>Strategy</th>
            <th>Sharpe</th>
            <th>ASD</th>
        </tr>
    </thead>
    <tbody>
        <tr>
            <td rowspan="2">Backtest</td>
            <td rowspan="2">1/1/2015</td>
            <td rowspan="2">8/16/2020</td>
            <td><a href="https://www.quantconnect.com/terminal/processCache?request=embedded_backtest_93f0df937ca928a3aae0da169142b0b5.html">Strategy</a></td>
            <td>-0.31</td>
            <td style="background-color: lightgrey;">0.223</td>
        </tr>
        <tr>
            <td><a href="https://www.quantconnect.com/terminal/processCache?request=embedded_backtest_383b6e278d66af10a9b90461b61ccbc4.html">Benchmark</a></td>
            <td style="background-color: lightgrey;">-0.083</td>
            <td>0.312</td>
        </tr>
        <tr>
            <td rowspan="2">Fall 2015</td>
            <td rowspan="2">8/10/2015</td>
            <td rowspan="2">10/10/2015</td>
            <td><a href="https://www.quantconnect.com/terminal/processCache?request=embedded_backtest_138ea84253c4df2688a512e21917c55d.html">Strategy</a></td>
            <td>-0.31</td>
            <td style="background-color: lightgrey;">0.294</td>
        </tr>
        <tr>
            <td><a href="https://www.quantconnect.com/terminal/processCache?request=embedded_backtest_383b6e278d66af10a9b90461b61ccbc4.html">Benchmark</a></td>
            <td style="background-color: lightgrey;">0.242</td>
            <td>0.351</td>
        </tr>
        <tr>
            <td rowspan="2">2020 Crash</td>
            <td rowspan="2">2/19/2020</td>
            <td rowspan="2">3/23/2020</td>
            <td><a href="https://www.quantconnect.com/terminal/processCache?request=embedded_backtest_5c735b89a65e453c9f0e40c41f69a314.html">Strategy</a></td>
            <td style="background-color: lightgrey;">176.524</td>
            <td style="background-color: lightgrey;">0.949</td>
        </tr>
        <tr>
            <td><a href="https://www.quantconnect.com/terminal/processCache?request=embedded_backtest_0288d3b1c7b2af85c5884c86d64ed148.html">Benchmark</a></td>
            <td>-0.902</td>
            <td>1.108</td>
        </tr>
        <tr>
            <td rowspan="2">2020 Recovery</td>
            <td rowspan="2">3/23/2020</td>
            <td rowspan="2">6/8/2020</td>
            <td><a href="https://www.quantconnect.com/terminal/processCache?request=embedded_backtest_92bbed7c7ede0861c82d76e36d34d781.html">Strategy</a></td>
            <td>-1.556</td>
            <td style="background-color: lightgrey;">0.447</td>
        </tr>
        <tr>
            <td><a href="https://www.quantconnect.com/terminal/processCache?request=embedded_backtest_022fe9ca07b14eab2f045ea1e8551d8e.html">Benchmark</a></td>
            <td style="background-color: lightgrey;">46.068</td>
            <td>0.703</td>
        </tr>
    </tbody>
</table>
</div>

<p>
  We find the lack of performance for this strategy is not largely attributed to the transaction costs. After 
  ignoring the transaction fees, spread costs, and slippage, the strategy still has a lower Sharpe ratio than the 
  benchmark and doesn't match the results found in the original research paper. See the backtest results 
  <a href="https://www.quantconnect.com/terminal/processCache/?request=embedded_backtest_c3deb95af7014cfe2e51ffe1678b2939.html">here</a>.
</p>